Although Jem and Scout are obviously very close, there is absolutely nowhere in To Kill a Mockingbird that Jem declares his love for Scout. He does display his affection for his sister in various ways, however. First and foremost was the heroic manner in which he tried to defend her from Bob Ewell on their way home from the Halloween pageant. As Bob "crushed the chicken wire around me," Jem came to the rescue.
From somewhere near by came scuffling, kicking sounds... Someone rolled against me and I felt Jem. He was up like lightning and pulling me with him, but... we didn't get very far.
Jem also verbally defends Scout against the insults of Mrs. Dubose, after she called Scout "that dirty little sister of yours."
Jem said quietly, "My sister ain't dirty, and I ain't scared of you," although I noticed his knees were shaking.
After Aunt Alexandra angers Scout by refusing Walter Cunningham Jr. to come and visit, Jem consoled her by giving her a chew of Tootsie Roll and showing her his new secret: body hair.
He had been a comfort to me, so I said it looked lovely, but I didn't see anything.